Giacomo Scandolo
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Pauline Barrieu & Giacomo Scandolo, 2013.
"Assessing Financial Model Risk,"
Papers
1307.0684, arXiv.org, revised Jul 2013.
- Barrieu, Pauline & Scandolo, Giacomo, 2015. "Assessing financial model risk," European Journal of Operational Research, Elsevier, vol. 242(2), pages 546-556.
Cited by:
- Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco, 2017. "On a robust risk measurement approach for capital determination errors minimization," Papers 1707.09829, arXiv.org, revised Oct 2020.
- Ballotta, Laura & Deelstra, Griselda & Rayée, Grégory, 2017. "Multivariate FX models with jumps: Triangles, Quantos and implied correlation," European Journal of Operational Research, Elsevier, vol. 260(3), pages 1181-1199.
- Valeria Bignozzi & Claudio Macci & Lea Petrella, 2017. "Large deviations for risk measures in finite mixture models," Papers 1710.03252, arXiv.org, revised Feb 2018.
- Thierry Cohignac & Nabil Kazi-Tani, 2019. "Quantile Mixing and Model Uncertainty Measures," Working Papers hal-02405859, HAL.
- Thibaut Lux & Antonis Papapantoleon, 2016. "Model-free bounds on Value-at-Risk using extreme value information and statistical distances," Papers 1610.09734, arXiv.org, revised Nov 2018.
- Carole Bernard & Ludger Rüschendorf & Steven Vanduffel, 2017. "Value-at-Risk Bounds With Variance Constraints," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 923-959, September.
- Lin, Edward M.H. & Sun, Edward W. & Yu, Min-Teh, 2020. "Behavioral data-driven analysis with Bayesian method for risk management of financial services," International Journal of Production Economics, Elsevier, vol. 228(C).
- Bernard, Carole & Kazzi, Rodrigue & Vanduffel, Steven, 2020. "Range Value-at-Risk bounds for unimodal distributions under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 9-24.
- Volker Stein & Arnd Wiedemann, 2016. "Risk governance: conceptualization, tasks, and research agenda," Journal of Business Economics, Springer, vol. 86(8), pages 813-836, November.
- Bernard, Carole & Vanduffel, Steven, 2015. "A new approach to assessing model risk in high dimensions," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 166-178.
- Lux, Thibaut & Papapantoleon, Antonis, 2019. "Model-free bounds on Value-at-Risk using extreme value information and statistical distances," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 73-83.
- Changki Kim & Yangho Choi & Woojoo Lee & Jae Youn Ahn, 2013. "Analyzing Herd Behavior in Global Stock Markets: An Intercontinental Comparison," Papers 1308.3966, arXiv.org.
- Mai Jan-Frederik & Schenk Steffen & Scherer Matthias, 2015. "Analyzing model robustness via a distortion of the stochastic root: A Dirichlet prior approach," Statistics & Risk Modeling, De Gruyter, vol. 32(3-4), pages 177-195, December.
- Valeriane Jokhadze & Wolfgang M. Schmidt, 2020. "Measuring Model Risk In Financial Risk Management And Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-37, April.
- Bignozzi, Valeria & Macci, Claudio & Petrella, Lea, 2018. "Large deviations for risk measures in finite mixture models," Insurance: Mathematics and Economics, Elsevier, vol. 80(C), pages 84-92.
- Braouezec, Yann & Grunspan, Cyril, 2016. "A new elementary geometric approach to option pricing bounds in discrete time models," European Journal of Operational Research, Elsevier, vol. 249(1), pages 270-280.
- Marcelo Brutti Righi, 2018. "A theory for combinations of risk measures," Papers 1807.01977, arXiv.org, revised Aug 2020.
- Tolulope Fadina & Ariel Neufeld & Thorsten Schmidt, 2018. "Affine processes under parameter uncertainty," Papers 1806.02912, arXiv.org, revised Mar 2019.
- Marco Frittelli & Marco Maggis, 2017. "Disentangling Price, Risk and Model Risk: V&R measures," Papers 1703.01329, arXiv.org, revised Jul 2017.
- Coqueret, Guillaume & Tavin, Bertrand, 2016. "An investigation of model risk in a market with jumps and stochastic volatility," European Journal of Operational Research, Elsevier, vol. 253(3), pages 648-658.
- Paul Embrechts & Giovanni Puccetti & Ludger Rüschendorf & Ruodu Wang & Antonela Beleraj, 2014. "An Academic Response to Basel 3.5," Risks, MDPI, Open Access Journal, vol. 2(1), pages 1-24, February.
- Claußen, Arndt & Rösch, Daniel & Schmelzle, Martin, 2019. "Hedging parameter risk," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 111-121.
- James Ming Chen, 2018. "On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles," Risks, MDPI, Open Access Journal, vol. 6(2), pages 1-1, June.
Articles
- Barrieu, Pauline & Scandolo, Giacomo, 2015.
"Assessing financial model risk,"
European Journal of Operational Research, Elsevier, vol. 242(2), pages 546-556.
See citations under working paper version above.
- Pauline Barrieu & Giacomo Scandolo, 2013. "Assessing Financial Model Risk," Papers 1307.0684, arXiv.org, revised Jul 2013.
- Rama Cont & Romain Deguest & Giacomo Scandolo, 2010.
"Robustness and sensitivity analysis of risk measurement procedures,"
Quantitative Finance, Taylor & Francis Journals, vol. 10(6), pages 593-606.
Cited by:
- Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco, 2017. "On a robust risk measurement approach for capital determination errors minimization," Papers 1707.09829, arXiv.org, revised Oct 2020.
- Rossello, Damiano, 2015. "Ranking of investment funds: Acceptability versus robustness," European Journal of Operational Research, Elsevier, vol. 245(3), pages 828-836.
- George Tzagkarakis & Frantz Maurer, 2020. "An energy-based measure for long-run horizon risk quantification," Annals of Operations Research, Springer, vol. 289(2), pages 363-390, June.
- Hirbod Assa & Nikolay Gospodinov, 2017. "A Robust Approach to Hedging and Pricing in Imperfect Markets," Risks, MDPI, Open Access Journal, vol. 5(3), pages 1-1, July.
- Lorenzo Mercuri & Edit Rroji, 2018. "Risk parity for Mixed Tempered Stable distributed sources of risk," Annals of Operations Research, Springer, vol. 260(1), pages 375-393, January.
- Andrea Consiglio & Somayyeh Lotfi & Stavros A. Zenios, 2018.
"Portfolio diversification in the sovereign credit swap markets,"
Annals of Operations Research, Springer, vol. 266(1), pages 5-33, July.
- Consiglio, Andrea & Lotfi, Somayyeh & Zenios, Stavros A., 2016. "Portfolio Diversification in the Sovereign Credit Swap Markets," Working Papers 16-06, University of Pennsylvania, Wharton School, Weiss Center.
- Krätschmer Volker & Schied Alexander & Zähle Henryk, 2015. "Quasi-Hadamard differentiability of general risk functionals and its application," Statistics & Risk Modeling, De Gruyter, vol. 32(1), pages 25-47, April.
- Suzanne Emmer & Marie Kratz & Dirk Tasche, 2013. "What Is the Best Risk Measure in Practice? A Comparison of Standard Measures," Working Papers hal-00921283, HAL.
- Paul Embrechts & Alexander Schied & Ruodu Wang, 2018. "Robustness in the Optimization of Risk Measures," Papers 1809.09268, arXiv.org, revised Aug 2019.
- Valeria Bignozzi & Andreas Tsanakas, 2016. "Parameter Uncertainty and Residual Estimation Risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(4), pages 949-978, December.
- Liu, Peng & Wang, Ruodu & Wei, Linxiao, 2020. "Is the inf-convolution of law-invariant preferences law-invariant?," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 144-154.
- A. Ahmadi-Javid, 2012. "Entropic Value-at-Risk: A New Coherent Risk Measure," Journal of Optimization Theory and Applications, Springer, vol. 155(3), pages 1105-1123, December.
- Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787, arXiv.org, revised Aug 2015.
- Barrieu, Pauline & Scandolo, Giacomo, 2015.
"Assessing financial model risk,"
European Journal of Operational Research, Elsevier, vol. 242(2), pages 546-556.
- Pauline Barrieu & Giacomo Scandolo, 2013. "Assessing Financial Model Risk," Papers 1307.0684, arXiv.org, revised Jul 2013.
- Susanne Emmer & Marie Kratz & Dirk Tasche, 2013. "What is the best risk measure in practice? A comparison of standard measures," Papers 1312.1645, arXiv.org, revised Apr 2015.
- Valeria Bignozzi & Claudio Macci & Lea Petrella, 2017. "Large deviations for risk measures in finite mixture models," Papers 1710.03252, arXiv.org, revised Feb 2018.
- Hirbod Assa, 2014. "On Optimal Reinsurance Policy with Distortion Risk Measures and Premiums," Papers 1406.2950, arXiv.org.
- Ruodu Wang & Yunran Wei & Gordon E. Willmot, 2020. "Characterization, Robustness, and Aggregation of Signed Choquet Integrals," Mathematics of Operations Research, INFORMS, vol. 45(3), pages 993-1015, August.
- Asimit, Alexandru V. & Badescu, Alexandru M. & Verdonck, Tim, 2013. "Optimal risk transfer under quantile-based risk measurers," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 252-265.
- Volker Kratschmer & Alexander Schied & Henryk Zahle, 2012. "Comparative and qualitative robustness for law-invariant risk measures," Papers 1204.2458, arXiv.org, revised Jan 2014.
- Fabozzi Frank J. & Stoyanov Stoyan V. & Rachev Svetlozar T., 2013. "Computational aspects of portfolio risk estimation in volatile markets: a survey," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(1), pages 103-120, February.
- Asimit, Alexandru V. & Bignozzi, Valeria & Cheung, Ka Chun & Hu, Junlei & Kim, Eun-Seok, 2017. "Robust and Pareto optimality of insurance contracts," European Journal of Operational Research, Elsevier, vol. 262(2), pages 720-732.
- Marie Kratz & Yen Lok & Alexander Mcneil, 2016.
"Multinomial var backtests: A simple implicit approach to backtesting expected shortfall,"
Working Papers
hal-01424279, HAL.
- Kratz, Marie & Lok, Yen H. & McNeil, Alexander J., 2018. "Multinomial VaR backtests: A simple implicit approach to backtesting expected shortfall," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 393-407.
- Marie Kratz & Yen H. Lok & Alexander J McNeil, 2016. "Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall," Papers 1611.04851, arXiv.org.
- Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2012. "When more is less: Using multiple constraints to reduce tail risk," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2693-2716.
- Ruodu Wang & Yunran Wei, 2020. "Risk functionals with convex level sets," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1337-1367, October.
- Steven Kou & Xianhua Peng & Chris C. Heyde, 2013. "External Risk Measures and Basel Accords," Mathematics of Operations Research, INFORMS, vol. 38(3), pages 393-417, August.
- Imre Kondor, 2014. "Estimation Error of Expected Shortfall," Papers 1402.5534, arXiv.org.
- Sander Barendse & Erik Kole & Dick van Dijk, 2019. "Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error," Tinbergen Institute Discussion Papers 19-058/III, Tinbergen Institute.
- Chen, Cathy Yi-Hsuan & Chiang, Thomas C. & Härdle, Wolfgang Karl, 2018. "Downside risk and stock returns in the G7 countries: An empirical analysis of their long-run and short-run dynamics," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 21-32.
- Pablo Koch-Medina & Cosimo Munari, 2014. "Law-invariant risk measures: extension properties and qualitative robustness," Papers 1401.3121, arXiv.org.
- Nicole Bauerle & Tomer Shushi, 2019. "Risk Management with Tail Quasi-Linear Means," Papers 1902.06941, arXiv.org, revised Jan 2020.
- Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy, 2021. "A data-driven framework for consistent financial valuation and risk measurement," European Journal of Operational Research, Elsevier, vol. 289(1), pages 381-398.
- Steven Kou & Xianhua Peng, 2016. "On the Measurement of Economic Tail Risk," Operations Research, INFORMS, vol. 64(5), pages 1056-1072, October.
- Matteo Burzoni & Cosimo Munari & Ruodu Wang, 2020. "Adjusted Expected Shortfall," Papers 2007.08829, arXiv.org.
- Natalia Nolde & Johanna F. Ziegel, 2016. "Elicitability and backtesting: Perspectives for banking regulation," Papers 1608.05498, arXiv.org, revised Feb 2017.
- Barrieu, Pauline & Scandolo, Giacomo, 2014. "Assessing financial model risk," LSE Research Online Documents on Economics 60084, London School of Economics and Political Science, LSE Library.
- Valeria Bignozzi & Matteo Burzoni & Cosimo Munari, 2020. "Risk Measures Based on Benchmark Loss Distributions," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 87(2), pages 437-475, June.
- Carole Bernard & Ludger Rüschendorf & Steven Vanduffel & Ruodu Wang, 2017. "Risk bounds for factor models," Finance and Stochastics, Springer, vol. 21(3), pages 631-659, July.
- Greig Smith & Goncalo dos Reis, 2017. "Robust and Consistent Estimation of Generators in Credit Risk," Papers 1702.08867, arXiv.org, revised Oct 2017.
- Volker Krätschmer & Alexander Schied & Henryk Zähle, 2014. "Comparative and qualitative robustness for law-invariant risk measures," Finance and Stochastics, Springer, vol. 18(2), pages 271-295, April.
- Erick Delage & Jonathan Yu-Meng Li, 2018. "Minimizing Risk Exposure When the Choice of a Risk Measure Is Ambiguous," Management Science, INFORMS, vol. 64(1), pages 327-344, January.
- Tobias Fissler & Johanna F. Ziegel, 2019. "Evaluating Range Value at Risk Forecasts," Papers 1902.04489, arXiv.org, revised Nov 2020.
- Cont Rama & Deguest Romain & He Xue Dong, 2013. "Loss-based risk measures," Statistics & Risk Modeling, De Gruyter, vol. 30(2), pages 133-167, June.
- Marcelo Brutti Righi & Paulo Sergio Ceretta, 2015. "Shortfall Deviation Risk: An alternative to risk measurement," Papers 1501.02007, arXiv.org, revised May 2016.
- Jan Obloj & Johannes Wiesel, 2018. "Robust estimation of superhedging prices," Papers 1807.04211, arXiv.org, revised Apr 2020.
- Andre R. Neveu, 2018. "A survey of network-based analysis and systemic risk measurement," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(2), pages 241-281, July.
- Zähle, Henryk, 2016. "A definition of qualitative robustness for general point estimators, and examples," Journal of Multivariate Analysis, Elsevier, vol. 143(C), pages 12-31.
- Roba Bairakdar & Lu Cao & Melina Mailhot, 2020. "Range Value-at-Risk: Multivariate and Extreme Values," Papers 2005.12473, arXiv.org.
- Ruodu Wang, 2016. "Regulatory arbitrage of risk measures," Quantitative Finance, Taylor & Francis Journals, vol. 16(3), pages 337-347, March.
- Rama Cont & Romain Deguest & Xuedong He, 2011. "Loss-Based Risk Measures," Papers 1110.1436, arXiv.org, revised Apr 2013.
- Bernard, Carole & Kazzi, Rodrigue & Vanduffel, Steven, 2020. "Range Value-at-Risk bounds for unimodal distributions under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 9-24.
- Mark H. A. Davis, 2014. "Verification of internal risk measure estimates," Papers 1410.4382, arXiv.org, revised Nov 2015.
- Bäuerle, Nicole & Glauner, Alexander, 2018. "Optimal risk allocation in reinsurance networks," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 37-47.
- Rama Cont & Romain Deguest & Xuedong He, 2011. "Loss-Based Risk Measures," Working Papers hal-00629929, HAL.
- An Chen & Mitja Stadje & Fangyuan Zhang, 2020. "On the equivalence between Value-at-Risk and Expected Shortfall in non-concave optimization," Papers 2002.02229, arXiv.org, revised Aug 2020.
- Marcelo Brutti Righi, 2020. "Inf-convolution and optimal risk sharing with arbitrary sets of risk measures," Papers 2003.05797, arXiv.org.
- Xue Dong He & Hanqing Jin & Xun Yu Zhou, 2015. "Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR," Mathematics of Operations Research, INFORMS, vol. 40(3), pages 773-796, March.
- Giovanni Paolo Crespi & Elisa Mastrogiacomo, 2020. "Qualitative robustness of set-valued value-at-risk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 91(1), pages 25-54, February.
- Jun-ya Gotoh & Akiko Takeda, 2011. "On the role of norm constraints in portfolio selection," Computational Management Science, Springer, vol. 8(4), pages 323-353, November.
- Kratz, Marie & Lok, Y-H & McNeil, Alexander J., 2016. "Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall," ESSEC Working Papers WP1617, ESSEC Research Center, ESSEC Business School.
- Fabio Bellini & Tolulope Fadina & Ruodu Wang & Yunran Wei, 2020. "Parametric measures of variability induced by risk measures," Papers 2012.05219, arXiv.org.
- Mai Jan-Frederik & Schenk Steffen & Scherer Matthias, 2015. "Analyzing model robustness via a distortion of the stochastic root: A Dirichlet prior approach," Statistics & Risk Modeling, De Gruyter, vol. 32(3-4), pages 177-195, December.
- Jose Blanchet & Henry Lam & Yang Liu & Ruodu Wang, 2020. "Convolution Bounds on Quantile Aggregation," Papers 2007.09320, arXiv.org.
- Johannes Siven & Rolf Poulsen, 2009. "Auto-static for the people: risk-minimizing hedges of barrier options," Review of Derivatives Research, Springer, vol. 12(3), pages 193-211, October.
- Bignozzi, Valeria & Macci, Claudio & Petrella, Lea, 2018. "Large deviations for risk measures in finite mixture models," Insurance: Mathematics and Economics, Elsevier, vol. 80(C), pages 84-92.
- Sibbertsen, Philipp & Stahl, Gerhard & Luedtke, Corinna, 2008. "Measuring Model Risk," Hannover Economic Papers (HEP) dp-409, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Xue Dong He & Xianhua Peng, 2017. "Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must be the Sets Induced by Value-at-Risk," Papers 1707.05596, arXiv.org, revised Jan 2018.
- Ruodu Wang & Johanna F. Ziegel, 2014. "Distortion Risk Measures and Elicitability," Papers 1405.3769, arXiv.org, revised May 2014.
- Hirbod Assa, 2015. "Optimal risk allocation in a market with non-convex preferences," Papers 1503.04460, arXiv.org.
- Pitera, Marcin & Schmidt, Thorsten, 2018. "Unbiased estimation of risk," Journal of Banking & Finance, Elsevier, vol. 91(C), pages 133-145.
- Schneider, Judith C. & Schweizer, Nikolaus, 2015. "Robust measurement of (heavy-tailed) risks: Theory and implementation," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 183-203.
- Marcin Pitera & Thorsten Schmidt, 2016. "Unbiased estimation of risk," Papers 1603.02615, arXiv.org, revised Aug 2017.
- Daniel Bartl & Ludovic Tangpi, 2020. "Non-asymptotic rates for the estimation of risk measures," Papers 2003.10479, arXiv.org.
- Tobias Fissler & Johanna F. Ziegel, 2015. "Higher order elicitability and Osband's principle," Papers 1503.08123, arXiv.org, revised Sep 2015.
- Marcelo Brutti Righi, 2018. "A theory for combinations of risk measures," Papers 1807.01977, arXiv.org, revised Aug 2020.
- Babat, Onur & Vera, Juan C. & Zuluaga, Luis F., 2018. "Computing near-optimal Value-at-Risk portfolios using integer programming techniques," European Journal of Operational Research, Elsevier, vol. 266(1), pages 304-315.
- Zhaolin Hu & Dali Zhang, 2018. "Utility‐based shortfall risk: Efficient computations via Monte Carlo," Naval Research Logistics (NRL), John Wiley & Sons, vol. 65(5), pages 378-392, August.
- Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2020. "Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall," International Review of Financial Analysis, Elsevier, vol. 70(C).
- M. Burzoni & I. Peri & C. M. Ruffo, 2017. "On the properties of the Lambda value at risk: robustness, elicitability and consistency," Quantitative Finance, Taylor & Francis Journals, vol. 17(11), pages 1735-1743, November.
- Lwin, Khin T. & Qu, Rong & MacCarthy, Bart L., 2017. "Mean-VaR portfolio optimization: A nonparametric approach," European Journal of Operational Research, Elsevier, vol. 260(2), pages 751-766.
- Hirbod Assa, 2015. "Risk management under a prudential policy," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 38(2), pages 217-230, October.
- Alfonso Novales & Laura Garcia-Jorcano, 2019. "Backtesting Extreme Value Theory models of expected shortfall," Documentos de Trabajo del ICAE 2019-24, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Koch-Medina Pablo & Munari Cosimo, 2014. "Law-invariant risk measures: Extension properties and qualitative robustness," Statistics & Risk Modeling, De Gruyter, vol. 31(3-4), pages 1-22, December.
- Simona Hašková & Petr Fiala, 2019. "A fuzzy approach for the estimation of foreign investment risk based on values of rating indices," Risk Management, Palgrave Macmillan, vol. 21(3), pages 183-199, September.
- Paul Embrechts & Giovanni Puccetti & Ludger Rüschendorf & Ruodu Wang & Antonela Beleraj, 2014. "An Academic Response to Basel 3.5," Risks, MDPI, Open Access Journal, vol. 2(1), pages 1-24, February.
- Assa, Hirbod, 2015. "On optimal reinsurance policy with distortion risk measures and premiums," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 70-75.
- Wang, Ruodu & Wei, Yunran, 2020. "Characterizing optimal allocations in quantile-based risk sharing," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 288-300.
- Mathieu Cambou & Damir Filipović, 2018. "Replicating portfolio approach to capital calculation," Finance and Stochastics, Springer, vol. 22(1), pages 181-203, January.
- Samuel N. Cohen, 2016. "Data-driven nonlinear expectations for statistical uncertainty in decisions," Papers 1609.06545, arXiv.org.
- Labopin-Richard T. & Gamboa F. & Garivier A. & Iooss B., 2016. "Bregman superquantiles. Estimation methods and applications," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-33, March.
- Wei Wang & Huifu Xu & Tiejun Ma, 2020. "Quantitative Statistical Robustness for Tail-Dependent Law Invariant Risk Measures," Papers 2006.15491, arXiv.org.
- Claußen, Arndt & Rösch, Daniel & Schmelzle, Martin, 2019. "Hedging parameter risk," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 111-121.
- Embrechts Paul & Wang Ruodu, 2015. "Seven Proofs for the Subadditivity of Expected Shortfall," Dependence Modeling, De Gruyter, vol. 3(1), pages 1-15, October.
- Lazar, Emese & Zhang, Ning, 2019. "Model risk of expected shortfall," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 74-93.
- Kellner, Ralf & Rösch, Daniel, 2016. "Quantifying market risk with Value-at-Risk or Expected Shortfall? – Consequences for capital requirements and model risk," Journal of Economic Dynamics and Control, Elsevier, vol. 68(C), pages 45-63.
- Semih Atakan & Kerem Bülbül & Nilay Noyan, 2017. "Minimizing value-at-risk in single-machine scheduling," Annals of Operations Research, Springer, vol. 248(1), pages 25-73, January.
- Weber, Stefan, 2018. "Solvency II, or how to sweep the downside risk under the carpet," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 191-200.
- Johanna F. Ziegel, 2013. "Coherence and elicitability," Papers 1303.1690, arXiv.org, revised Mar 2014.
- Volker Kratschmer & Alexander Schied & Henryk Zahle, 2014. "Quasi-Hadamard differentiability of general risk functionals and its application," Papers 1401.3167, arXiv.org, revised Feb 2015.
- Rüdiger Kiesel & Robin Rühlicke & Gerhard Stahl & Jinsong Zheng, 2016. "The Wasserstein Metric and Robustness in Risk Management," Risks, MDPI, Open Access Journal, vol. 4(3), pages 1-1, August.
- Krätschmer, Volker & Schied, Alexander & Zähle, Henryk, 2017. "Domains of weak continuity of statistical functionals with a view toward robust statistics," Journal of Multivariate Analysis, Elsevier, vol. 158(C), pages 1-19.
- Xu, Qifa & Chen, Lu & Jiang, Cuixia & Yu, Keming, 2020. "Mixed data sampling expectile regression with applications to measuring financial risk," Economic Modelling, Elsevier, vol. 91(C), pages 469-486.
- Sebastian Fuchs & Ruben Schlotter & Klaus D. Schmidt, 2017. "A Review and Some Complements on Quantile Risk Measures and Their Domain," Risks, MDPI, Open Access Journal, vol. 5(4), pages 1-1, November.
- Krätschmer, Volker & Schied, Alexander & Zähle, Henryk, 2012. "Qualitative and infinitesimal robustness of tail-dependent statistical functionals," Journal of Multivariate Analysis, Elsevier, vol. 103(1), pages 35-47, January.
- Chris Kenyon & Andrew Green, 2014. "VAR and ES/CVAR Dependence on data cleaning and Data Models: Analysis and Resolution," Papers 1405.7611, arXiv.org.
- Lorenzo Mercuri & Edit Rroji, 2014. "Parametric Risk Parity," Papers 1409.7933, arXiv.org.
- Carlo Acerbi & Giacomo Scandolo, 2008.
"Liquidity risk theory and coherent measures of risk,"
Quantitative Finance, Taylor & Francis Journals, vol. 8(7), pages 681-692.
Cited by:
- Ramos, Henrique Pinto & Righi, Marcelo Brutti, 2020. "Liquidity, implied volatility and tail risk: A comparison of liquidity measures," International Review of Financial Analysis, Elsevier, vol. 69(C).
- Jianping Li & Lu Wei & Cheng-Few Lee & Xiaoqian Zhu & Dengsheng Wu, 2018. "Financial statements based bank risk aggregation," Review of Quantitative Finance and Accounting, Springer, vol. 50(3), pages 673-694, April.
- Andreas H Hamel, 2018. "Monetary Measures of Risk," Papers 1812.04354, arXiv.org.
- Zsolt Bihary & Péter Csóka & Dávid Zoltán Szabó, 2020. "Spectral risk measure of holding stocks in the long run," Annals of Operations Research, Springer, vol. 295(1), pages 75-89, December.
- Bianchetti, Marco & Carlicchi, Mattia, 2012. "Markets Evolution After the Credit Crunch," MPRA Paper 44023, University Library of Munich, Germany.
- Péter Csóka & P. Jean-Jacques Herings, 2014.
"Risk Allocation under Liquidity Constraints,"
Working Papers
2014.47, Fondazione Eni Enrico Mattei.
- Csóka, P. & Herings, P.J.J., 2013. "Risk allocation under liquidity constraints," Research Memorandum 057, Maastricht University, Graduate School of Business and Economics (GSBE).
- Csóka, Péter & Herings, P. Jean-Jacques, 2014. "Risk allocation under liquidity constraints," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 1-9.
- Csóka, Péter & Herings, P. Jean-Jacques, 2014. "Risk Allocation under Liquidity Constraints," Climate Change and Sustainable Development 172703, Fondazione Eni Enrico Mattei (FEEM).
- Havran, Dániel & Erb, Tamás, 2015. "Mit veszítünk a piaci súrlódásokkal?. A pénzügyi piacok mikrostruktúrája [Trading mechanisms and market frictions. Microstructure of the financial markets]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 229-262.
- Marco Bianchetti & Mattia Carlicchi, 2013. "Markets Evolution After the Credit Crunch," Papers 1301.7078, arXiv.org.
- Csóka, Péter & Bihary, Zsolt & Kondor, Gábor, 2018. "A részvénytartás spektrális kockázata hosszú távon [On the spectral measure of risk in holding stocks in the long run]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 687-700.
- Csóka Péter & Pintér Miklós, 2016.
"On the Impossibility of Fair Risk Allocation,"
The B.E. Journal of Theoretical Economics, De Gruyter, vol. 16(1), pages 143-158, January.
- Csóka, Péter & Pintér, Miklós, 2010. "On the impossibility of fair risk allocation," MPRA Paper 26515, University Library of Munich, Germany.
- Csóka, Péter & Pintér, Miklós, 2014. "On the impossibility of fair risk allocation," Corvinus Economics Working Papers (CEWP) 2014/12, Corvinus University of Budapest.
- Stange, Sebastian & Kaserer, Christoph, 2008. "Why and how to integrate liquidity risk into a VaR-framework," CEFS Working Paper Series 2008-10, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
- Csóka, Péter & Hevér, Judit, 2018. "Portfolio valuation under liquidity constraints with permanent price impact," Finance Research Letters, Elsevier, vol. 26(C), pages 235-241.
- Sebestyén, Tamás, 2016. "Doktoranduszhallgatók IV. Nyári Műhelye. MKE-PTE KTK, Pécs, 2016. június 3 [The 4th Summer Workshop of Doctoral Students. Hungarian Economics Association/Pécs University, Faculty of Economics]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 1011-1018.
- Csóka, Péter, 2017. "Fair risk allocation in illiquid markets," Finance Research Letters, Elsevier, vol. 21(C), pages 228-234.
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- Daniel Lacker, 2018. "Liquidity, Risk Measures, and Concentration of Measure," Mathematics of Operations Research, INFORMS, vol. 43(3), pages 813-837, August.
- Tomasz R. Bielecki & Igor Cialenco & Tao Chen, 2014. "Dynamic Conic Finance via Backward Stochastic Difference Equations," Papers 1412.6459, arXiv.org, revised Dec 2014.
- Edward Tsang & Richard Olsen & Shaimaa Masry, 2012. "A formalization of double auction market dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 13(7), pages 981-988, October.
- Hevér, Judit, 2017. "A likviditás és a permanens árhatás szerepe a portfólióértékelésben [The role of liquidity policy and permanent price impact in portfolio valuation]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 594-611.
- Marco, Bianchetti & Mattia, Carlicchi, 2012. "Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR," MPRA Paper 42248, University Library of Munich, Germany.
- Damiano Brigo & Mirela Predescu & Agostino Capponi, 2010. "Credit Default Swaps Liquidity modeling: A survey," Papers 1003.0889, arXiv.org, revised Mar 2010.
- Csóka, Péter & Bátyi, Tamás László & Pintér, Miklós & Balog, Dóra, 2011. "Tőkeallokációs módszerek és tulajdonságaik a gyakorlatban [Methods of capital allocation and their characteristics in practice]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 619-632.
- Armstrong, John & Brigo, Damiano, 2019. "Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 122-135.
- Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2018. "Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization," Papers 1803.11467, arXiv.org, revised Sep 2018.
- Erindi Allaj, 2014. "Risk measuring under liquidity risk," Papers 1412.6745, arXiv.org.
- Fabio Caccioli & Jean-Philippe Bouchaud & J. Doyne Farmer, 2012. "A proposal for impact-adjusted valuation: Critical leverage and execution risk," Papers 1204.0922, arXiv.org, revised Aug 2012.
- Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2016. "Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach," Papers 1610.07694, arXiv.org, revised Jun 2019.
- Kountzakis, C. & Polyrakis, I.A., 2013. "Coherent risk measures in general economic models and price bubbles," Journal of Mathematical Economics, Elsevier, vol. 49(3), pages 201-209.
- Balog, Dóra & Bátyi, Tamás László & Csóka, Péter & Pintér, Miklós, 2017. "Properties and comparison of risk capital allocation methods," European Journal of Operational Research, Elsevier, vol. 259(2), pages 614-625.
- Csóka, Péter & Havran, Dániel & Váradi, Kata, 2013. "Konferencia a pénzügyi piacok likviditásáról. Third Annual Financial Market Liquidity Conference BCE Befektetések és Vállalati Pénzügy Tanszék-MTA KRTK KTI Játékelméleti Kutatócsoport-Nemzetközi Banká," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(4), pages 477-485.
- Hans Rau-Bredow, 2019. "Bigger Is Not Always Safer: A Critical Analysis of the Subadditivity Assumption for Coherent Risk Measures," Risks, MDPI, Open Access Journal, vol. 7(3), pages 1-1, August.
- Daniel Lacker, 2015. "Liquidity, risk measures, and concentration of measure," Papers 1510.07033, arXiv.org, revised Oct 2015.
- Hevér, Judit, 2020. "A piaci likviditás és a szabályozás kapcsolatának vizsgálata általános egyensúlyelméleti modellkeretben [The effect of regulation on market liquidity: a general equilibrium approach]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 708-733.
- Marco Frittelli & Giacomo Scandolo, 2006.
"Risk Measures And Capital Requirements For Processes,"
Mathematical Finance, Wiley Blackwell, vol. 16(4), pages 589-612, October.
Cited by:
- Francesca Biagini & Jean-Pierre Fouque & Marco Frittelli & Thilo Meyer-Brandis, 2015. "A Unified Approach to Systemic Risk Measures via Acceptance Sets," Papers 1503.06354, arXiv.org, revised Apr 2015.
- M. Kaina & L. Rüschendorf, 2009. "On convex risk measures on L p -spaces," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 475-495, July.
- Walter Farkas & Pablo Koch-Medina & Cosimo Munari, 2014. "Beyond cash-additive risk measures: when changing the numéraire fails," Finance and Stochastics, Springer, vol. 18(1), pages 145-173, January.
- Pospisil, Libor & Vecer, Jan & Xu, Mingxin, 2007. "Tradable measure of risk," MPRA Paper 5059, University Library of Munich, Germany.
- Michail Anthropelos & Gordan Žitković, 2010. "Partial equilibria with convex capital requirements: existence, uniqueness and stability," Annals of Finance, Springer, vol. 6(1), pages 107-135, January.
- Beatrice Acciaio & Irina Penner, 2010. "Dynamic risk measures," Papers 1002.3794, arXiv.org.
- Alessandro Doldi & Marco Frittelli, 2020. "Entropy Martingale Optimal Transport and Nonlinear Pricing-Hedging Duality," Papers 2005.12572, arXiv.org, revised Jul 2020.
- Beatrice Acciaio & Hans Föllmer & Irina Penner, 2012. "Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles," Finance and Stochastics, Springer, vol. 16(4), pages 669-709, October.
- Walter Farkas & Pablo Koch-Medina & Cosimo Munari, 2013. "Measuring risk with multiple eligible assets," Papers 1308.3331, arXiv.org, revised Mar 2014.
- Samuel N. Cohen & Tanut Treetanthiploet, 2019. "Gittins' theorem under uncertainty," Papers 1907.05689, arXiv.org, revised Aug 2020.
- Laeven, R.J.A. & Stadje, M.A., 2011.
"Entropy Coherent and Entropy Convex Measures of Risk,"
Other publications TiSEM
08f59c7c-7302-47f9-9a9b-b, Tilburg University, School of Economics and Management.
- Laeven, R.J.A. & Stadje, M.A., 2011. "Entropy Coherent and Entropy Convex Measures of Risk," Discussion Paper 2011-031, Tilburg University, Center for Economic Research.
- Roger J. A. Laeven & Mitja Stadje, 2013. "Entropy Coherent and Entropy Convex Measures of Risk," Mathematics of Operations Research, INFORMS, vol. 38(2), pages 265-293, May.
- Tomasz R. Bielecki & Igor Cialenco & Zhao Zhang, 2010. "Dynamic Coherent Acceptability Indices and their Applications to Finance," Papers 1010.4339, arXiv.org, revised May 2011.
- Bannör, Karl & Kiesel, Rüdiger & Nazarova, Anna & Scherer, Matthias, 2016. "Parametric model risk and power plant valuation," Energy Economics, Elsevier, vol. 59(C), pages 423-434.
- Beatrice Acciaio & Hans Foellmer & Irina Penner, 2010. "Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles," Papers 1002.3627, arXiv.org.
- Nicole El Karoui & Claudia Ravanelli, 2007. "Cash Sub-additive Risk Measures and Interest Rate Ambiguity," Papers 0710.4106, arXiv.org.
- Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera, 2014. "A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time," Papers 1409.7028, arXiv.org, revised Sep 2017.
- Castaneda, Pablo, 2006.
"Long Term Risk Assessment in a Defined Contribution Pension System,"
MPRA Paper
3347, University Library of Munich, Germany, revised 30 Apr 2007.
- Pablo Castañeda, 2007. "Long Term Risk Assessment in a Defined Contribution Pension System," Working Papers 20, Superintendencia de Pensiones, revised Oct 2007.
- Daniel Bartl, 2016. "Conditional nonlinear expectations," Papers 1612.09103, arXiv.org, revised Mar 2019.
- Kovacevic Raimund M., 2012. "Conditional risk and acceptability mappings as Banach-lattice valued mappings," Statistics & Risk Modeling, De Gruyter, vol. 29(1), pages 1-18, March.
- Cosimo Munari, 2020. "Multi-utility representations of incomplete preferences induced by set-valued risk measures," Papers 2009.04151, arXiv.org.
- Zachary Feinstein & Birgit Rudloff, 2018. "Time consistency for scalar multivariate risk measures," Papers 1810.04978, arXiv.org, revised Jan 2021.
- Volker Krätschmer, 2007. "On s-additive robust representation of convex risk measures for unbounded financial positions in the presence of uncertainty about the market model," SFB 649 Discussion Papers SFB649DP2007-010, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Teemu Pennanen & Ari-Pekka Perkkiö, 2018. "Convex duality in optimal investment and contingent claim valuation in illiquid markets," Finance and Stochastics, Springer, vol. 22(4), pages 733-771, October.
- Teemu Pennanen & Ari-Pekka Perkkio, 2016. "Convex duality in optimal investment and contingent claim valuation in illiquid markets," Papers 1603.02867, arXiv.org.
- Zachary Feinstein & Birgit Rudloff, 2018. "Scalar multivariate risk measures with a single eligible asset," Papers 1807.10694, arXiv.org, revised Nov 2020.
- Teemu Pennanen, 2008. "Superhedging in illiquid markets," Papers 0807.2962, arXiv.org.
- Wei, Linxiao & Hu, Yijun, 2014. "Coherent and convex risk measures for portfolios with applications," Statistics & Probability Letters, Elsevier, vol. 90(C), pages 114-120.
- Acciaio, Beatrice & Föllmer, Hans & Penner, Irina, 2012. "Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles," LSE Research Online Documents on Economics 50118, London School of Economics and Political Science, LSE Library.
- Nicole EL KAROUI & Claudia RAVANELLI, 2008. "Cash Sub-additive Risk Measures and Interest Rate Ambiguity," Swiss Finance Institute Research Paper Series 08-09, Swiss Finance Institute.
- Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2011. "Stable solutions for optimal reinsurance problems involving risk measures," European Journal of Operational Research, Elsevier, vol. 214(3), pages 796-804, November.
- Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2009. "Optimal reinsurance with general risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 374-384, June.
- Kai Detlefsen & Giacomo Scandolo, 2005. "Conditional and Dynamic Convex Risk Measures," SFB 649 Discussion Papers SFB649DP2005-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Christopher W. Miller & Insoon Yang, 2015. "Optimal Control of Conditional Value-at-Risk in Continuous Time," Papers 1512.05015, arXiv.org, revised Jan 2017.
- Walter Farkas & Pablo Koch-Medina & Cosimo Munari, 2012. "Beyond cash-additive risk measures: when changing the num\'{e}raire fails," Papers 1206.0478, arXiv.org, revised Feb 2014.
- Michail Anthropelos & Nikolaos E. Frangos & Stylianos Z. Xanthopoulos & Athanasios N. Yannacopoulos, 2008. "On contingent claims pricing in incomplete markets: A risk sharing approach," Papers 0809.4781, arXiv.org, revised Feb 2012.
- Buch, Arne & Dorfleitner, Gregor & Wimmer, Maximilian, 2011. "Risk capital allocation for RORAC optimization," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3001-3009, November.
- Heras, Antonio & Balbás, Beatriz & Balbás, Alejandro, 2010. "Stability of the optimal reinsurance with respect to the risk measure," DEE - Working Papers. Business Economics. WB wb100201, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
- Karl-Theodor Eisele & Michael Kupper, 2013. "Asymptotically Stable Dynamic Risk Assessments," Working Papers of LaRGE Research Center 2013-04, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
- Andrzej Ruszczynski & Jianing Yao, 2017. "A Dual Method For Backward Stochastic Differential Equations with Application to Risk Valuation," Papers 1701.06234, arXiv.org, revised Aug 2020.
- Eisele Karl-Theodor & Kupper Michael, 2016. "Asymptotically stable dynamic risk assessments," Statistics & Risk Modeling, De Gruyter, vol. 33(1-2), pages 41-50, September.
- Maria Arduca & Cosimo Munari, 2020. "Market-consistent pricing with acceptable risk," Papers 2012.08351, arXiv.org.
- Francesca Biagini & Jean-Pierre Fouque & Marco Frittelli & Thilo Meyer-Brandis, 2020. "On fairness of systemic risk measures," Finance and Stochastics, Springer, vol. 24(2), pages 513-564, April.
- Naomi Miller & Andrzej Ruszczyński, 2011. "Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition," Operations Research, INFORMS, vol. 59(1), pages 125-132, February.
- Ricardo Collado & Dávid Papp & Andrzej Ruszczyński, 2012. "Scenario decomposition of risk-averse multistage stochastic programming problems," Annals of Operations Research, Springer, vol. 200(1), pages 147-170, November.
- Michel Baes & Pablo Koch-Medina & Cosimo Munari, 2017. "Existence, uniqueness and stability of optimal portfolios of eligible assets," Papers 1702.01936, arXiv.org, revised Dec 2017.
- Roorda, Berend & Schumacher, J.M., 2007. "Time consistency conditions for acceptability measures, with an application to Tail Value at Risk," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 209-230, March.
- Fabio Bellini & Pablo Koch-Medina & Cosimo Munari & Gregor Svindland, 2018. "Law-invariant functionals beyond bounded positions," Papers 1808.00821, arXiv.org, revised Aug 2020.
- Francesca Biagini & Jean-Pierre Fouque & Marco Frittelli & Thilo Meyer-Brandis, 2018. "On Fairness of Systemic Risk Measures," Papers 1803.09898, arXiv.org, revised Apr 2019.
- Michail Anthropelos & Gordan Zitkovic, 2009. "Partial Equilibria with Convex Capital Requirements: Existence, Uniqueness and Stability," Papers 0901.3318, arXiv.org.
- Alessandro Doldi & Marco Frittelli, 2020. "Conditional Systemic Risk Measures," Papers 2010.11515, arXiv.org.
- Sıtkı Gülten & Andrzej Ruszczyński, 2015. "Two-stage portfolio optimization with higher-order conditional measures of risk," Annals of Operations Research, Springer, vol. 229(1), pages 409-427, June.
- Maria Arduca & Pablo Koch-Medina & Cosimo Munari, 2019. "Dual representations for systemic risk measures based on acceptance sets," Papers 1906.10933, arXiv.org, revised Oct 2019.
- Marlon Moresco & Marcelo Righi & Eduardo Horta, 2020. "Minkowski gauges and deviation measures," Papers 2007.01414, arXiv.org.
- W. Farkas & A. Smirnow, 2016. "Intrinsic risk measures," Papers 1610.08782, arXiv.org.
- Bäuerle Nicole & Mundt André, 2009. "A Bayesian approach to incorporate model ambiguity in a dynamic risk measure," Statistics & Risk Modeling, De Gruyter, vol. 26(3), pages 219-242, April.
- Cossette, Hélène & Marceau, Etienne & Trufin, Julien & Zuyderhoff, Pierre, 2020. "Ruin-based risk measures in discrete-time risk models," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 246-261.
- Zachary Feinstein & Birgit Rudloff, 2013. "A comparison of techniques for dynamic multivariate risk measures," Papers 1305.2151, arXiv.org, revised Jan 2015.
- Alexander S. Cherny, 2009. "Capital Allocation And Risk Contribution With Discrete‐Time Coherent Risk," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 13-40, January.
- Kai Detlefsen & Giacomo Scandolo, 2005.
"Conditional and dynamic convex risk measures,"
Finance and Stochastics, Springer, vol. 9(4), pages 539-561, October.
Cited by:
- Saul Jacka & Seb Armstrong & Abdelkarem Berkaoui, 2017. "On representing and hedging claims for coherent risk measures," Papers 1703.03638, arXiv.org, revised Feb 2018.
- Roorda, Berend & Schumacher, J.M., 2011.
"The strictest common relaxation of a family of risk measures,"
Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 29-34, January.
- Roorda, B. & Schumacher, J.M., 2011. "The strictest common relaxation of a family of risk measures," Other publications TiSEM fe50549a-ca7b-4a03-9318-1, Tilburg University, School of Economics and Management.
- Tiexin Guo & Shien Zhao & Xiaolin Zeng, 2012. "On random convex analysis -- the analytic foundation of the module approach to conditional risk measures," Papers 1210.1848, arXiv.org, revised Mar 2013.
- Frank Riedel & Tobias Hellmann, 2013.
"The Foster-Hart Measure of Riskiness for General Gambles,"
Papers
1301.1471, arXiv.org.
- Riedel, Frank & Hellmann, Tobias, 2014. "The Foster-Hart measure of riskiness for general gambles," Center for Mathematical Economics Working Papers 474, Center for Mathematical Economics, Bielefeld University.
- Hellmann, Tobias & Riedel, Frank, 2013. "The Foster-Hart Measure of Riskiness for General Gambles," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79752, Verein für Socialpolitik / German Economic Association.
- Riedel, Frank & Hellmann, Tobias, 2015. "The Foster-Hart measure of riskiness for general gambles," Theoretical Economics, Econometric Society, vol. 10(1), January.
- Marco Frittelli & Marco Maggis, 2010. "Dual Representation of Quasiconvex Conditional Maps," Papers 1001.3644, arXiv.org, revised Jan 2010.
- Hoffmann, Hannes & Meyer-Brandis, Thilo & Svindland, Gregor, 2016. "Risk-consistent conditional systemic risk measures," Stochastic Processes and their Applications, Elsevier, vol. 126(7), pages 2014-2037.
- Maccheroni, Fabio & Marinacci, Massimo & Rustichini, Aldo, 2006.
"Dynamic variational preferences,"
Journal of Economic Theory, Elsevier, vol. 128(1), pages 4-44, May.
- Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2006. "Dynamic Variational Preferences," Carlo Alberto Notebooks 1, Collegio Carlo Alberto.
- Beatrice Acciaio & Irina Penner, 2010. "Dynamic risk measures," Papers 1002.3794, arXiv.org.
- Beatrice Acciaio & Hans Föllmer & Irina Penner, 2012. "Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles," Finance and Stochastics, Springer, vol. 16(4), pages 669-709, October.
- Bion-Nadal, Jocelyne, 2009. "Time consistent dynamic risk processes," Stochastic Processes and their Applications, Elsevier, vol. 119(2), pages 633-654, February.
- Ji, Ronglin & Shi, Xuejun & Wang, Shijie & Zhou, Jinming, 2019. "Dynamic risk measures for processes via backward stochastic differential equations," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 43-50.
- Roorda Berend & Schumacher Hans, 2013.
"Membership conditions for consistent families of monetary valuations,"
Statistics & Risk Modeling, De Gruyter, vol. 30(3), pages 255-280, August.
- Roorda, B. & Schumacher, J.M., 2013. "Membership conditions for consistent families of monetary valuations," Other publications TiSEM 26b66f36-0dc9-4ccf-9b1b-0, Tilburg University, School of Economics and Management.
- Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera, 2018. "A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time," Mathematics of Operations Research, INFORMS, vol. 43(1), pages 204-221, February.
- Samuel N. Cohen & Tanut Treetanthiploet, 2019. "Gittins' theorem under uncertainty," Papers 1907.05689, arXiv.org, revised Aug 2020.
- Fasen Vicky & Svejda Adela, 2012. "Time consistency of multi-period distortion measures," Statistics & Risk Modeling, De Gruyter, vol. 29(2), pages 133-153, June.
- Zachary Feinstein & Birgit Rudloff, 2012. "Multiportfolio time consistency for set-valued convex and coherent risk measures," Papers 1212.5563, arXiv.org, revised Oct 2014.
- Andreas H Hamel, 2018. "Monetary Measures of Risk," Papers 1812.04354, arXiv.org.
- So Yeon Chun & Alexander Shapiro & Stan Uryasev, 2012.
"Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics,"
Operations Research, INFORMS, vol. 60(4), pages 739-756, August.
- Chun, So Yeon & Shapiro, Alexander & Uryasev, Stan, 2011. "Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics," MPRA Paper 30132, University Library of Munich, Germany.
- Elisa Mastrogiacomo & Emanuela Rosazza Gianin, 2015. "Time-consistency of cash-subadditive risk measures," Papers 1512.03641, arXiv.org.
- Beatrice Acciaio & Hans Foellmer & Irina Penner, 2010. "Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles," Papers 1002.3627, arXiv.org.
- Jun Zhao & Emmanuel Lépinette & Peibiao Zhao, 2019. "A new approach of coherent risk-measure pricing," Working Papers hal-02135232, HAL.
- Pflug, Georg Ch. & Pichler, Alois, 2016. "Time-inconsistent multistage stochastic programs: Martingale bounds," European Journal of Operational Research, Elsevier, vol. 249(1), pages 155-163.
- Nicole El Karoui & Claudia Ravanelli, 2007. "Cash Sub-additive Risk Measures and Interest Rate Ambiguity," Papers 0710.4106, arXiv.org.
- A. Jobert & L. C. G. Rogers, 2007.
"Valuations and dynamic convex risk measures,"
Papers
0709.0232, arXiv.org.
- A. Jobert & L. C. G. Rogers, 2008. "Valuations And Dynamic Convex Risk Measures," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 1-22, January.
- Leitner Johannes, 2007. "Pricing and hedging with globally and instantaneously vanishing risk," Statistics & Risk Modeling, De Gruyter, vol. 25(4/2007), pages 1-22, October.
- Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera, 2014. "A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time," Papers 1409.7028, arXiv.org, revised Sep 2017.
- Jose Miguel Zapata, 2014. "Randomized versions of Mazur lemma and Krein-Smulian theorem," Papers 1411.6256, arXiv.org, revised Jun 2017.
- Geissel Sebastian & Sass Jörn & Seifried Frank Thomas, 2018. "Optimal expected utility risk measures," Statistics & Risk Modeling, De Gruyter, vol. 35(1-2), pages 73-87, January.
- Gabriela Kov'av{c}ov'a & Birgit Rudloff, 2018. "Time consistency of the mean-risk problem," Papers 1806.10981, arXiv.org, revised Jan 2020.
- H. Fink & S. Geissel & J. Sass & F. T. Seifried, 2019. "Implied risk aversion: an alternative rating system for retail structured products," Review of Derivatives Research, Springer, vol. 22(3), pages 357-387, October.
- Chen, Zhiping & Li, Gang & Zhao, Yonggan, 2014. "Time-consistent investment policies in Markovian markets: A case of mean–variance analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 293-316.
- Castaneda, Pablo, 2006.
"Long Term Risk Assessment in a Defined Contribution Pension System,"
MPRA Paper
3347, University Library of Munich, Germany, revised 30 Apr 2007.
- Pablo Castañeda, 2007. "Long Term Risk Assessment in a Defined Contribution Pension System," Working Papers 20, Superintendencia de Pensiones, revised Oct 2007.
- Samuel Drapeau & Asgar Jamneshan, 2014. "Conditional Preference Orders and their Numerical Representations," Papers 1410.5466, arXiv.org, revised Jan 2016.
- Daniel Bartl, 2016. "Conditional nonlinear expectations," Papers 1612.09103, arXiv.org, revised Mar 2019.
- Kovacevic Raimund M., 2012. "Conditional risk and acceptability mappings as Banach-lattice valued mappings," Statistics & Risk Modeling, De Gruyter, vol. 29(1), pages 1-18, March.
- Traian A. Pirvu & Gordan Žitković, 2009. "Maximizing The Growth Rate Under Risk Constraints," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 423-455, July.
- Michael Mania & Martin Schweizer, 2005. "Dynamic exponential utility indifference valuation," Papers math/0508489, arXiv.org.
- Homem-de-Mello, Tito & Pagnoncelli, Bernardo K., 2016. "Risk aversion in multistage stochastic programming: A modeling and algorithmic perspective," European Journal of Operational Research, Elsevier, vol. 249(1), pages 188-199.
- Asgar Jamneshan & Michael Kupper & José Miguel Zapata-García, 2020. "Parameter-Dependent Stochastic Optimal Control in Finite Discrete Time," Journal of Optimization Theory and Applications, Springer, vol. 186(2), pages 644-666, August.
- Wayne King Ming Chan, 2015. "RAROC-Based Contingent Claim Valuation," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2015.
- Eskandarzadeh, Saman & Eshghi, Kourosh, 2013. "Decision tree analysis for a risk averse decision maker: CVaR Criterion," European Journal of Operational Research, Elsevier, vol. 231(1), pages 131-140.
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